Group Policy: Trusted Location in User's My Documents?
Solution 1:
An alternative would be to use the Auto FE Updater. This utility has an option to set the trusted location of the FE automatically. It will also copy down new Access FEs and associated files when updates are made available on the server, create shortcuts and more.
I would also suggest using a subfolder of the %appdata% aka Application Data folder to store the Access FE and associated files as this is somewhat hidden and thus less likely for the users to muck with the files.